Dissertation/ Thesis
Essays in empirical market microstructure : dark venues, informed trading, and price discovery
| العنوان: | Essays in empirical market microstructure : dark venues, informed trading, and price discovery |
|---|---|
| المؤلفون: | Alfarhoud, Abdulrahman |
| المساهمون: | Bowe, Michael, Zhang, Sarah |
| بيانات النشر: | University of Manchester, 2023. |
| سنة النشر: | 2023 |
| المجموعة: | University of Manchester |
| مصطلحات موضوعية: | Dark Trading, Dark Pools, Fragmentation, Informed Trading, Price Discovery |
| الوصف: | This thesis formulates novel approaches to addressing the links between dark trading and volume fragmentation, informed trading, and price discovery. Throughout the thesis, we acknowledge the heterogeneity which exists across types of dark venues, and examine the extent to which the effects of dark trading on volume fragmentation, informed trading, and price discovery are driven by this heterogeneity. The thesis consists of three essays. The first essay explores the fragmentation of trading volume across lit and dark venues in response to a trading immediacy shock. We classify dark venues based on the frequency of order matching as continuous and scheduled dark venues, and specify three market-wide immediacy shocks. In response to the unscheduled immediacy shocks, our results reveal that scheduled dark pools experience the largest decrease in market share, followed by continuous dark pools, while the market share of lit venues increases. In response to the scheduled shock, we find opposing results. The second essay examines the effect of periods with legal insider trades on the market share of dark venues. We decompose insider trades into opportunistic and routine, where the former are expected to be more informed. We further classify dark venues based on opacity, focusing on the role of order flow internalization in concealing trading interest. Our results show that periods of opportunistic insider transactions are associated with an increase in the market share of dark venues. Our findings further reveal that this increase takes place exclusively in internalization pools. The third essay investigates price discovery and informed trading in dark venues surrounding the COVID-19 market crash. We classify dark venues based on their matching price as midpoint and non-midpoint dark venues. Our findings reveal that non-midpoint dark trading is associated with lower price discovery surrounding the crash period. We further find evidence that the effects of dark trading on price discovery are driven by informed trading, as proxied by off-exchange short sales. |
| نوع الوثيقة: | Electronic Thesis or Dissertation |
| اللغة: | English |
| URL الوصول: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.878800 |
| رقم الانضمام: | edsble.878800 |
| قاعدة البيانات: | British Library EThOS |
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